By default, Okular saves annotations in the local data directory for each user. Since KDE 4.9, it's optionally possible to store them directly in a PDF file by choosing "File -> Save As...", so they can be seen in other PDF viewers.
Note that this feature requires Poppler 0.20 or newer for regular PDF documents. If the PDF document you are annotating is encrypted, this feature requires Poppler 0.22 or newer.